Sökning: "Arbitrage"
Visar resultat 1 - 5 av 40 avhandlingar innehållade ordet Arbitrage.
1. The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability
Sammanfattning : This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. LÄS MER
2. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications
Sammanfattning : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. LÄS MER
3. Aspects of cash-flow valuation
Sammanfattning : This thesis consists of five papers. In the first two papers we consider a general approach to cash flow valuation, focusing on dynamic properties of the value of a stream of cash flows. The third paper discusses immunization theory, where old results are shown to hold in general deterministic models, but often fail to be true in stochastic models. LÄS MER
4. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach
Sammanfattning : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. LÄS MER
5. Decentralized Finance and Central Bank Communication
Sammanfattning : This dissertation investigates two distinct areas within the financial literature: Decentralized finance (DeFi) and central bank communication. Both areas have experienced significant changes in the past decade, posing new challenges to the international financial system. LÄS MER